The covariant derivative expansion of the one-loop effective action is briefly reviewed, and
applied to the problem of calculating the heavy Higgs effects in the standard Glashow-…

A method is described for the calculation of derivative terms in the effective action to one
loop. Sample calculations are made of the two-and four-derivative terms for a single scalar …

This paper provides a derivation of an arbitrage free approximation to any HJM model as a
continuous time Markov model with a finite number of state variables. Arbitrage freedom is …

One-loop corrections to the effective gauged σ-model of the large Higgs mass limit of the
standard electroweak model are presented. The one-loop corrected strong scattering amplitude …

Recent high-profile defaults of investment grade bond issuers have demonstrated the
weakness of conventional ratings in rapidly changing circumstances. We propose a simple …

Valuation of mortgage backed securities (MBS) using option theoretic methods presents some
puzzles. First, the option adjusted spreads (OASs) of passthroughs are significantly larger …

The now standard Glashow-Weinberg-Salam (GWS) model of weak and electromagnetic
interactions has had many successes, notably the prediction of the recently detected Wand Z …

Provides examples of the applications of option-adjusted (OAS) analysis to collateralized
mortgage obligations (CMOs). Analysis of fixed-income securities with embedded options; OAS …

We describe an empirically motivated model of credit risk based on a study of the relation
between returns to corporate bonds, government bonds and equities. Examining almost …

This chapter focuses on fixed income risk modeling using factor models to forecast portfolio
return standard deviation. Conceptually, this is a relatively straightforward problem, although …